Sortino Ratio Calculator
FinanceCalculate the Sortino ratio to measure the risk-adjusted return of a portfolio using only downside volatility, rather than total volatility like the Sharpe ratio.
Sortino Ratio
Excess return over the target, divided by downside deviation
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Odeh Ahwal0people find this calculator helpful
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Frequently Asked Questions
How is Sortino ratio different from Sharpe ratio?
Sharpe ratio penalizes both upside and downside volatility equally, while Sortino ratio only counts downside volatility, giving a clearer picture of risk-adjusted return when upside swings should not count against a strategy.
What is a good Sortino ratio?
A Sortino ratio above 1.0 is generally considered good, above 2.0 is very good, and higher values indicate stronger returns relative to downside risk alone.
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